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Joint Arbitrage Conditions for Stock Index Options and Volatility Index Options
Post, Thierry - 2023
We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by …
Persistent link: https://www.econbiz.de/10014351229
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Information stickiness on general equilibrium and endogenous cycles
Gomes, Orlando - In: Economics: The Open-Access, Open-Assessment E-Journal 7 (2013) 2013-4, pp. 1-43
Traditionally, observed fluctuations in aggregate economic time series have been mainly modeled as being the result of exogenous disturbances. A better understanding of macroeconomic phenomena, however, surely requires looking directly at the relations between variables that may trigger...
Persistent link: https://www.econbiz.de/10010311637
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Solving Asset Pricing Models with Stochastic Volatility
De Groot, Oliver - 2017
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form
Persistent link: https://www.econbiz.de/10014121046
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Performance Measurement for Option Portfolios in a Stochastic Volatility Framework
Baule, Rainer - 2019
Measuring the performance of stock portfolios that include options is challenging due to options' nonlinearity in the … option factor, i.e., a portfolio of standard options exposed to volatility risk. We show that (i) any option factor is …
Persistent link: https://www.econbiz.de/10012900121
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Information stickiness in general equilibrium and endogenous cycles
Gomes, Orlando - 2012
Traditionally, observed fluctuations in aggregate economic time series have been mainly modelled as being the result of exogenous disturbances. A better understanding of macroeconomic phenomena, however, surely requires looking directly at the relations between variables that may trigger...
Persistent link: https://www.econbiz.de/10009615039
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Information stickiness on general equilibrium and endogenous cycles
Gomes, Orlando - 2013
Traditionally, observed fluctuations in aggregate economic time series have been mainly modeled as being the result of exogenous disturbances. A better understanding of macroeconomic phenomena, however, surely requires looking directly at the relations between variables that may trigger...
Persistent link: https://www.econbiz.de/10009708029
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Financial system fragility models
Iancu, Aurel - 2011
This paper analyses two types of models: 1. Those based on assumptions of monetary and financial market equilibrium disturbance in line with mainstream thinking that there is self-regulating market, the units would have rational expectations, and the crisis would be a temporary phenomenon caused...
Persistent link: https://www.econbiz.de/10010529077
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Solving Asset Pricing Models with Stochastic Volatility
De Groot, Oliver - 2014
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model with stochastic volatility. The solution is useful in allowing comparisons among numerical methods used to approximate the non-trivial closed-form
Persistent link: https://www.econbiz.de/10013046488
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Coherent price systems and uncertainty-neutral valuation
Beißner, Patrick - 2012
We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …
Persistent link: https://www.econbiz.de/10010320000
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Coherent price systems and uncertainty-neutral valuation : conference paper
Beißner, Patrick - 2013 - This version: 28 February, 2013
We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an … martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of …
Persistent link: https://www.econbiz.de/10010338399